A Sobolev inequality and the individual invariance principle for diffusions in a periodic potential
Abstract
We consider a diffusion process in with a generator of the form where is measurable and periodic. We only assume that and are locally integrable. We then show that, after proper rescaling, the law of the diffusion converges to a Brownian motion for Lebesgue almost all starting points. This pointwise invariance principle was previously known under uniform ellipticity conditions (when is bounded), and was recently proved under more restrictive conditions on and . Our approach uses Dirichlet form theory to define the process, martingales and time changes and the construction of a corrector. Our main technical tool to show the sub-linear growth of the corrector is a new weighted Sobolev type inequality for integrable potentials. We heavily rely on harmonic analysis technics.
Keywords
Cite
@article{arxiv.1312.4817,
title = {A Sobolev inequality and the individual invariance principle for diffusions in a periodic potential},
author = {Moustapha Ba and Pierre Mathieu},
journal= {arXiv preprint arXiv:1312.4817},
year = {2016}
}